Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0832
Annualized Std Dev 0.2481
Annualized Sharpe (Rf=0%) -0.3354

Row

Daily Return Statistics

Close
Observations 3478.0000
NAs 1.0000
Minimum -0.1205
Quartile 1 -0.0060
Median 0.0000
Arithmetic Mean -0.0002
Geometric Mean -0.0003
Quartile 3 0.0066
Maximum 0.2189
SE Mean 0.0003
LCL Mean (0.95) -0.0007
UCL Mean (0.95) 0.0003
Variance 0.0002
Stdev 0.0156
Skewness 0.0993
Kurtosis 20.6725

Downside Risk

Close
Semi Deviation 0.0114
Gain Deviation 0.0117
Loss Deviation 0.0131
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0115
Downside Deviation (0%) 0.0115
Maximum Drawdown 0.8086
Historical VaR (95%) -0.0220
Historical ES (95%) -0.0398
Modified VaR (95%) -0.0190
Modified ES (95%) -0.0190
From Trough To Depth Length To Trough Recovery
2007-05-31 2020-03-18 NA -0.8086 3477 3223 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 0 0 0.8 1.5 2.4 -0.9 0.4 2.2 6.4
2008 1.1 0.1 3.4 0.9 0.4 -0.3 2.8 0.2 2.8 4.2 -6.7 3.3 12.6
2009 0.7 -4.4 3 1.5 3.1 0.4 4.4 -1 -1.9 -5.8 1.2 -1 -0.4
2010 -0.6 0.5 0.4 -1.1 -1.7 -1.8 2.3 3.2 1.3 0.2 1 1.6 5.5
2011 1.6 -0.3 0.5 0.6 -1.3 1.6 1.4 -0.9 -2.7 -2.4 -0.4 1.6 -0.9
2012 1.7 0.6 1 0.4 -2.3 2.9 0.8 1 0.5 1.3 -0.1 0.7 8.8
2013 0.9 -0.3 0 -0.5 -0.9 0.8 1.2 -0.8 1.6 -0.4 0.6 0.6 2.9
2014 -1.4 0.8 1.5 0.6 0.4 1.2 -1.1 -0.7 -0.9 1.5 -1.1 -0.7 0
2015 -2.2 0.8 0.3 0.9 0.4 0.5 0.4 -0.5 0.5 0.6 0.6 0.8 3.4
2016 0.5 1.4 -0.3 0.2 -0.2 -0.3 -0.2 0.3 0.5 -0.9 0.2 1.8 3.1
2017 0.9 0.7 0.2 0.7 0.6 0 0.2 0.2 0.8 0 0.2 0.8 5.2
2018 0 -1.4 1.3 0 0.5 0.2 -0.3 -0.7 -0.3 0.8 -0.2 0.6 0.4
2019 0.4 0.4 0.7 -0.2 -0.7 -0.4 -0.4 0.7 -0.4 0.4 0.4 0.9 1.8
2020 -1.7 -3.4 -2.7 -0.8 1.8 0.6 0.4 1.6 0.2 -1.4 1.2 -0.7 -4.9
2021 -0.3 1.4 -0.2 NA NA NA NA NA NA NA NA NA 0.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2007-05-25  20   SPY    152.  0.0042 -0.0061    0.0136   0.0449    0.202    0.376    0.378 GLD    64.9  0.00290  -0.0089
2 2007-05-29  20   SPY    152.  0.0036 -0.002     0.0181   0.0913    0.192    0.361    0.401 GLD    65.1  0.002    -0.0091
3 2007-05-30  20.1 SPY    153.  0.0081  0.007     0.035    0.0891    0.196    0.367    0.420 GLD    64.7 -0.0054   -0.0077
4 2007-05-31  20.0 SPY    153. -0.001   0.00580   0.0313   0.0912    0.216    0.358    0.429 GLD    65.5  0.0127    0     
5 2007-06-01  20   SPY    154.  0.005   0.02      0.0304   0.111     0.208    0.365    0.44  GLD    66.4  0.0137    0.0261
6 2007-06-04  20   SPY    154.  0.0001  0.0159    0.0249   0.122     0.197    0.367    0.437 GLD    66.5  0.0015    0.0246
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart